Obbligazione Citi Global Markets 0% ( US17327TZ336 ) in USD

Citi Global Markets

100 USD ▲

Stati Uniti

US17327TZ336 ( in USD )

04/03/2030

Prospetto opuscolo dell'obbligazione Citigroup Global Markets Holdings US17327TZ336 en USD 0%, scadenza 04/03/2030

1 000 USD

560 000 USD

17327TZ33

N/A

Citigroup Global Markets Holdings è una sussidiaria di Citigroup Inc. che opera nel settore dei mercati finanziari globali, offrendo servizi di trading, intermediazione e gestione degli investimenti a clienti istituzionali e investitori privati.

Citigroup Global Markets Holdings ha emesso un'obbligazione (ISIN: US17327TZ336, CUSIP: 17327TZ33) denominata in USD, con scadenza il 04/03/2030, a tasso zero, per un ammontare totale di 560.000 unità, con taglio minimo di 1.000 unità e pagamenti semestrali, attualmente negoziata al 100%.

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424B2 1 dp122714_424b2-us2090986.htm PRICING SUPPLEMENT

Citigroup Global Markets Holdings Inc.
February 27, 2020
Medium-Term Senior Notes, Series N
Pricing Supplement No. 2020-USNCH3767
Filed Pursuant to Rule 424(b)(2)
Registration Statement Nos. 333-224495 and
333-224495-03
Autocallable Market-Linked Notes Based on the Citi Dynamic Asset Selector 5 Excess Return Index
Due March 4, 2030
Overview

The notes offered by this pricing supplement are unsecured senior debt securities issued by Citigroup Global
Markets Holdings Inc. and guaranteed by Citigroup Inc. Unlike conventional debt securities, the notes do not pay
interest. Instead, the notes offer the potential for automatic early redemption at a premium on a periodic basis on the
terms described below if the closing level of the Citi Dynamic Asset Selector 5 Excess Return Index (the "Index") on
any valuation date prior to the final valuation date exceeds the applicable premium threshold level. The premium
threshold level increases over the term of the notes. If the notes are not automatical y redeemed prior to maturity,
then the notes wil not be redeemed at a premium but offer the potential for a positive return at maturity based on the
performance of the Index from the initial index level to the final index level.

If, on any valuation date prior to the final valuation date, the closing level of the Index is greater than or equal to the
applicable premium threshold level, the notes wil be automatical y redeemed. If the notes are not automatical y
redeemed prior to maturity and the Index appreciates from the initial index level to the final index level, you wil
receive a positive return at maturity equal to that appreciation multiplied by the upside participation rate specified
below. However, if the notes are not automatical y redeemed prior to maturity and the Index remains the same or
depreciates, you wil be repaid the stated principal amount of your notes at maturity but wil not receive any return on
your investment. The notes are designed for investors who are wil ing to forgo interest on the notes and accept the
risk of not receiving any return on the notes in exchange for the possibility of automatic early redemption at a
premium or, if the notes are not automatical y redeemed, a positive return at maturity, based in each case on the
performance of the Index. Investors should understand that there is no guarantee that they wil receive a positive
return on their investment in the notes and that even if they do receive a positive return, there is no assurance that
their total return at maturity on the notes wil compensate them for the effects of inflation or be as great as the yield
you could have achieved on a conventional debt security of ours of comparable maturity.

In order to obtain the exposure to the Index that the notes provide, investors must be wil ing to accept (i) an
investment that may have limited or no liquidity and (i ) the risk of not receiving any amount due under the notes if
we and Citigroup Inc. default on our obligations. All payments on the notes are subject to the credit risk of
Citigroup Global Markets Holdings Inc. and Citigroup Inc.
KEY TERMS

Issuer:
Citigroup Global Markets Holdings Inc., a whol y owned subsidiary of Citigroup Inc.
Guarantee:
Al payments due on the notes are ful y and unconditional y guaranteed by Citigroup Inc.
Index:
The Citi Dynamic Asset Selector 5 Excess Return Index (ticker symbol: "CIISDA5N")
Aggregate stated principal $560,000
amount:
Stated principal amount:
$1,000 per note
Pricing date:
February 27, 2020
Issue date:
March 3, 2020. See "Supplemental Plan of Distribution" in this pricing supplement for
more additional information.
Valuation dates:
March 1, 2021, February 28, 2022, February 27, 2023, February 27, 2024, February 27,
2025, February 27, 2026, March 1, 2027, February 28, 2028, February 27, 2029 and
February 27, 2030 (the "final valuation date"), subject to postponement if such date is not
an index scheduled trading day
Maturity date:
March 4, 2030
Automatic
early If, on any valuation date prior to the final valuation date, the closing level of the Index is
redemption:
greater than or equal to the applicable premium threshold level, the notes wil be
automatical y redeemed on the third business day fol owing that valuation date for an
amount in cash per note equal to $1,000 plus the premium applicable to that valuation
date. If the notes are automatical y redeemed fol owing any valuation date prior to the
final valuation date, they wil cease to be outstanding and you wil not be entitled to
receive the premium applicable to any later valuation date.
Payment at maturity:
If the notes have not previously been redeemed, for each note you hold at maturity, the
$1,000 stated principal amount plus the note return amount, which wil be either zero or
positive
Note return amount:
If the final index level is greater than the initial index level:
$1,000 × the index return × the upside participation rate
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If the final index level is less than or equal to the initial index level:
$0
Upside participation rate:
100%
Listing:
The notes wil not be listed on any securities exchange
CUSIP / ISIN:
17327TZ33 / US17327TZ336
Underwriter:
Citigroup Global Markets Inc. ("CGMI"), an affiliate of the issuer, acting as principal
Underwriting fee and issue
Issue price(1)
Underwriting fee(2)
Proceeds to issuer(3)
price:
Per note:
$1,000
$39
$961
Total:
$560,000
$21,840
$538,160
(Key Terms continued on next page)
(1) On the date of this pricing supplement, the estimated value of the notes is $945.50 per note, which is less than the issue price.
The estimated value of the notes is based on CGMI's proprietary pricing models and our internal funding rate. It is not an indication of
actual profit to CGMI or other of our affiliates, nor is it an indication of the price, if any, at which CGMI or any other person may be
willing to buy the notes from you at any time after issuance. See "Valuation of the Notes" in this pricing supplement.
(2) CGMI will receive an underwriting fee of up to $39 for each note sold in this offering. The total underwriting fee and proceeds to
issuer in the table above give effect to the actual total underwriting fee. For more information on the distribution of the notes, see
"Supplemental Plan of Distribution" in this pricing supplement. In addition to the underwriting fee, CGMI and its affiliates may profit
from hedging activity related to this offering, even if the value of the notes declines. See "Use of Proceeds and Hedging" in the
accompanying prospectus.
(3) The per note proceeds to issuer indicated above represent the minimum per note proceeds to issuer for any note, assuming the
maximum per note underwriting fee. As noted above, the underwriting fee is variable.
Investing in the notes involves risks not associated with an investment in conventional debt
securities. See "Summary Risk Factors" beginning on page PS-7.
Neither the Securities and Exchange Commission (the "SEC") nor any state securities commission has
approved or disapproved of the notes or determined that this pricing supplement and the accompanying index
supplement, prospectus supplement and prospectus are truthful or complete. Any representation to the
contrary is a criminal offense.
You should read this pricing supplement together with the accompanying index supplement, prospectus
supplement and prospectus, each of which can be accessed via the hyperlinks below:
Index Supplement No. IS-02-02 dated April 3, 2019 Prospectus Supplement and Prospectus each dated May
14, 2018
The notes are not bank deposits and are not insured or guaranteed by the Federal Deposit Insurance
Corporation or any other governmental agency, nor are they obligations of, or guaranteed by, a bank.

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Citigroup Global Markets Holdings Inc.

KEY TERMS (continued)
Premium:
The premium applicable to each valuation date prior to the final valuation date is set out
below. The premium may be significantly less than the appreciation of the Index
from the pricing date to the applicable valuation date.
· March 1, 2021: 7.35% of the stated principal amount
· February 28, 2022: 14.70% of the stated principal amount
· February 27, 2023: 22.05% of the stated principal amount
· February 27, 2024: 29.40% of the stated principal amount
· February 27, 2025: 36.75% of the stated principal amount
· February 27, 2026: 44.10% of the stated principal amount
· March 1, 2027: 51.45% of the stated principal amount
· February 28, 2028: 58.80% of the stated principal amount
· February 27, 2029: 66.15% of the stated principal amount
Premium threshold level:
· March 1, 2021: 102.50% of the initial index level
· February 28, 2022: 105.00% of the initial index level
· February 27, 2023: 107.50% of the initial index level
· February 27, 2024: 110.00% of the initial index level
· February 27, 2025: 112.50% of the initial index level
· February 27, 2026: 115.00% of the initial index level
· March 1, 2027: 117.50% of the initial index level
· February 28, 2028: 120.00% of the initial index level
· February 27, 2029: 122.50% of the initial index level
Initial index level:
219.58, the closing level of the Index on the pricing date
Final index level:
The closing level of the Index on the final valuation date
Index return:
The percentage change in the closing level of the Index from the pricing date to the final
valuation date, calculated as fol ows: (i) final index level minus initial index level, divided
by (i ) initial index level

Additional Information

This pricing supplement is intended to be read together with the accompanying index supplement, prospectus
supplement and prospectus, which are available via the hyperlinks on the cover page of this pricing supplement. The
accompanying index supplement, prospectus supplement and prospectus contain important information that is not
included in this pricing supplement, including:

·
a more detailed description of the Index, beginning on page IS-24 of the accompanying index supplement;

·
more detailed risk factors relating to the Index, beginning on page IS-8 of the accompanying index supplement;

·
the Index rules that govern the calculation of the Index, beginning on page IS-58 of the accompanying index
supplement;

·
general terms of the notes, including terms relating to the potential postponement of a valuation date and the
maturity date upon the occurrence of a market disruption event and terms specifying the consequences of the
discontinuance of the Index, beginning on page IS-19 of the accompanying index supplement;

·
considerations for certain employee benefit plans or investors that are investing with assets of such plans,
beginning on page IS-41 of the accompanying index supplement; and

·
descriptions of the constituents of the Index, beginning on page IS-50 of the accompanying index supplement.

Certain terms used but not defined in this pricing supplement are defined in the accompanying index supplement.

PS-2
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Citigroup Global Markets Holdings Inc.

Summary Index Description

The Index is published by Citigroup Global Markets Limited (the "Index Administrator"), which is an affiliate of ours.
The Index tracks the hypothetical performance of a rules-based investment methodology that, on each Index Business
Day, seeks to identify current U.S. equity market conditions as fal ing within one of four possible "Market Regimes"
based on trend and volatility signals (the "Signals"). Depending on the identified Market Regime, Index exposure is
al ocated to one of three possible hypothetical investment "Portfolios", each consisting of varying degrees of exposure
to the fol owing two "Constituents":

Asset
Constituent
Ticker
Underlying Reference Market
Class
Futures
Asset
Sector
Contract
Equity
S&P 500 Futures Excess Return Index (the "U.S.
SPXFP<Index>
E-mini S&P S&P 500®
U.S.
futures
Equity Futures Constituent")
500 Futures
Index
large-cap
equities
Fixed
S&P 10-Year U.S. Treasury Note Futures Excess SPUSTTP<Index> 10-Year U.S.
10-Year
U.S. 10-
income
Return Index (the "U.S. Treasury Futures
Treasury
U.S.
year
futures
Constituent")
Note Futures Treasury treasuries
Notes

The U.S. Equity Futures Constituent tracks the performance of a hypothetical investment, rol ed quarterly, in the nearest-
to-expiration E-mini S&P 500 futures contract, which provides exposure to U.S. large-cap equities. The U.S. Treasury
Futures Constituent tracks the performance of a hypothetical investment, rol ed quarterly, in the nearest-to-expiration 10-
Year U.S. Treasury Note futures contract, which provides exposure to U.S. Treasury notes with a remaining maturity of
at least 6.5 years and an original maturity not exceeding 10 years (al of which are referred to col ectively as "10-Year
U.S. Treasury Notes"). Because each Constituent is a futures-based index, the performance of each Constituent is
expected to reflect not only the performance of its underlying Reference Asset (as indicated in the table above), but also
the implicit cost of a financed position in that Reference Asset, which wil reduce the performance of each Constituent.
See "Descriptions of the Constituents" in the accompanying Index Supplement for more information.

The Index relies on backward-looking trend and volatility Signals to determine which Market Regime is currently in effect
and, in turn, which Portfolio to track until there is a change in the Market Regime (the Portfolio tracked at any time being
referred to as the "Selected Portfolio" at that time). On each Index Business Day, the Index calculates:

·
The trend of the performance of the U.S. Equity Futures Constituent over a look-back period of 21 Index
Business Days, measured by the linear regression methodology described in the accompanying Index
Supplement (the "Trend Signal"). The Trend Signal wil be either "upward" or "downward".

·
The realized volatility of the U.S. Equity Futures Constituent over a look-back period of 63 Index Business Days
(the "Volatility Signal").

The fol owing table indicates the Market Regime that wil be identified for each possible combination of the Signals and,
for each Market Regime, the corresponding Portfolio that wil be selected as the Selected Portfolio to be tracked by the
Index until there is a change in the Market Regime.

Signals
Market Regime
Selected Portfolio (consisting of the
Constituents with the percentage weights
indicated below)

Ø Trend Signal: Upward
Equity-Focused Portfolio

Ø Volatility Signal: Less than or equal
Stable-Trending Up
Ø U.S. Equity Futures Constituent: 66.66%
to 15%
Ø U.S. Treasury Futures Constituent: 33.33%

Intermediate Portfolio
Ø Trend Signal: Upward
Ø U.S. Equity Futures Constituent: 33.33%

Unstable-Trending Up
Ø Volatility Signal: Greater than 15%
Ø U.S. Treasury Futures Constituent: 66.66%

Stable-Trending
Ø Trend Signal: Downward
Down

Ø Volatility Signal: Less than or equal
to 15%
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Ø Trend Signal: Downward
Treasury Portfolio
Unstable-Trending

Down
Ø U.S. Equity Futures Constituent: 0.00%
Ø Volatility Signal: Greater than 15%
Ø U.S. Treasury Futures Constituent: 100.00%

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Once a Selected Portfolio has been selected, the Index wil continue to have exposure to that Selected Portfolio until the
Signals indicate that there has been a change in the Market Regime, at which point the Index exposure wil be al ocated
to a different Selected Portfolio. However, if the Trend Signal fails to meet a test of statistical significance, then a change
in the Market Regime wil not occur and the Selected Portfolio wil not change even if the Signals would otherwise cal
for a change. This test of statistical significance is described in more detail in the accompanying Index Supplement.

The Index includes a volatility-targeting feature, pursuant to which the Index may reduce its exposure to the Selected
Portfolio if necessary in an attempt to maintain a volatility target of 5%. On any Index Business Day, if the realized
volatility of the current Selected Portfolio was greater than 5% over a look-back period of 21 Index Business Days, the
Index wil have less than 100% exposure to the Selected Portfolio. The difference between 100% and the exposure that
the Index has to the Selected Portfolio wil be hypothetical y al ocated to cash and wil accrue no interest or other return.

The performance of the Index wil be reduced by an index fee of 0.85% per annum.

This section contains only a summary description of the Index and does not describe al of its important features in
detail. Before investing in the notes, you should careful y review the more detailed description of the Index contained in
the section "Description of the Citi Dynamic Asset Selector 5 Excess Return Index" in the accompanying Index
Supplement.

The Index is subject to important risks, including the fol owing:

·
The Index is a trend-fol owing index and is subject to the limitations inherent in al trend-fol owing
methodologies, including the fact that past performance is no guarantee of future performance. Furthermore, the
Index's trend-fol owing methodology may be unsuccessful even if past trends do prove to be indicative of future
performance, because the Trend Signal may not accurately capture the trend or the Index may not change its
Selected Portfolio quickly enough in response to changes in the Market Regime.

·
Each Constituent is a futures-based index and is therefore expected to reflect the implicit cost of a financed
position in its Reference Asset. This implicit financing cost wil adversely affect the level of each Constituent and
cause each Constituent to underperform its Reference Asset. Any increase in market interest rates wil be
expected to increase this implicit financing cost and wil further adversely affect the performance of the
Constituents and, therefore, the performance of the Index.

·
The Index rules limit the exposure the Index may have to the U.S. Equity Futures Constituent and, as a result,
the Index is likely to significantly underperform equities in rising equity markets.

·
The Index wil have significant exposure to the U.S. Treasury Futures Constituent, which has limited return
potential and significant downside potential, particularly in times of rising interest rates.

·
The volatility-targeting feature significantly reduces the potential for Index gains. At any time when the Index has
less than 100% exposure to the Selected Portfolio, the Index wil participate in only a limited degree of the
performance of the Selected Portfolio.

·
The performance of the Index wil be reduced by an index fee. The index fee wil place a drag on the
performance of the Index, offsetting any appreciation of the Selected Portfolio, exacerbating any depreciation of
the Selected Portfolio and causing the level of the Index to decline steadily if the value of the Selected Portfolio
remains relatively constant.

·
The Index was launched on June 13, 2016 and, therefore, has a limited performance history.

For more information about the important risks affecting the Index, you should careful y read the section "Summary Risk
Factors--Key Risks Relating to the Index" in this pricing supplement and "Key Risks Relating to the Index" in the
accompanying Index Supplement.

The Selected Portfolio is a hypothetical investment portfolio. There is no actual portfolio of assets to which any investor
is entitled or in which any investor has any ownership or other interest. The Index is merely a mathematical calculation
that is performed by reference to hypothetical positions in the Constituents.

PS-4
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Citigroup Global Markets Holdings Inc.

Hypothetical Payment Upon Automatic Early Redemption

The fol owing table il ustrates how the amount payable per note wil be calculated if the closing level of the Index is
greater than or equal to the applicable premium threshold level on any valuation date prior to the final valuation date.

If the closing level of
... is greater than or equal to
the Index on the
the following premium
following valuation
threshold level ...
. . . then you will receive the following payment per
date...
note upon automatic early redemption:
March 1, 2021
102.50% of the initial index level $1,000 + applicable premium = $1,000 + $73.50 =
$1,073.50
February 28, 2022
105.00% of the initial index level $1,000 + applicable premium = $1,000 + $147.00 =
$1,147.00
February 27, 2023
107.50% of the initial index level $1,000 + applicable premium = $1,000 + $220.50 =
$1,220.50
February 27, 2024
110.00% of the initial index level
$1,000 + applicable premium = $1,000 + $294.00 =
$1,294.00
February 27, 2025
112.50% of the initial index level
$1,000 + applicable premium = $1,000 + $367.50 =
$1,367.50
February 27, 2026
115.00% of the initial index level
$1,000 + applicable premium = $1,000 + $441.00 =
$1,441.00
March 1, 2027
117.50% of the initial index level
$1,000 + applicable premium = $1,000 + $514.50 =
$1,514.50
February 28, 2028
120.00% of the initial index level $1,000 + applicable premium = $1,000 + $588.00 =
$1,588.00
February 27, 2029
122.50% of the initial index level $1,000 + applicable premium = $1,000 + $661.50 =
$1,661.50

If the closing level of the Index is not greater than or equal to the applicable premium threshold level on any
valuation date prior to the final valuation date, then the notes will not be automatically redeemed prior to
maturity and you will not receive a premium.

PS-5
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Hypothetical Payment at Maturity

The diagram below il ustrates your payment at maturity for a range of hypothetical index returns, assuming the notes are
not automatical y redeemed prior to maturity.

Market-Linked Notes
Payment at Maturity Diagram

The examples below il ustrate how to determine the payment at maturity on the notes, assuming the various hypothetical
final index levels indicated below. The examples are solely for il ustrative purposes, do not show al possible outcomes
and are not a prediction of what the actual payment at maturity on the notes wil be. The actual payment at maturity wil
depend on the actual final index level.

The examples below are based on a hypothetical initial index level of 100 and do not reflect the actual initial index level.
For the actual initial index level, see the cover page of this pricing supplement. We have used this hypothetical level,
rather than the actual level, to simplify the calculations and aid understanding of how the notes work. However, you
should understand that the actual payment at maturity on the notes wil be calculated based on the actual initial index
level, and not the hypothetical level indicated below.

Example 1--Upside Scenario. The final index level is 110 (a 10% increase from the initial index level), which is greater
than the initial index level.

Payment at maturity per note = $1,000 + the note return amount
= $1,000 + ($1,000 × the index return × the upside participation rate)
= $1,000 + ($1,000 × 10% × 100%)
= $1,000 + $100
= $1,100

Because the Index appreciated by 10% from the initial index level to the final index level, your total return at maturity in
this scenario would be 10%.

Example 2--Par Scenario. The final index level is 90 (a 10% decrease from the initial index level), which is less than
the initial index level.

Payment at maturity per note = $1,000 + the note return amount
= $1,000 + $0
= $1,000

Because the Index depreciated from the initial index level to the final index level, the payment at maturity per note would
equal the $1,000 stated principal amount per note and you would not receive any positive return on your investment.

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Citigroup Global Markets Holdings Inc.

Summary Risk Factors

An investment in the notes is significantly riskier than an investment in conventional debt securities. The notes are
subject to al of the risks associated with an investment in our conventional debt securities (guaranteed by Citigroup
Inc.), including the risk that we and Citigroup Inc. may default on our obligations under the notes, and are also subject to
risks associated with the Index. Accordingly, the notes are suitable only for investors who are capable of understanding
the complexities and risks of the notes. You should consult your own financial, tax and legal advisors as to the risks of
an investment in the notes and the suitability of the notes in light of your particular circumstances.

The fol owing is a summary of certain key risk factors for investors in the notes. You should read this summary together
with the more detailed description of risks relating to an investment in the notes contained in the section "Risk Factors
Relating to the Notes" beginning on page IS-8 in the accompanying index supplement. You should also careful y read
the risk factors included in the accompanying prospectus supplement and in the documents incorporated by reference in
the accompanying prospectus, including Citigroup Inc.'s most recent Annual Report on Form 10-K and any subsequent
Quarterly Reports on Form 10-Q, which describe risks relating to the business of Citigroup Inc. more general y.

Key Risks Relating to the Notes

You may not receive any return on your investment in the notes. If the closing level of the Index is not greater
than or equal to the applicable premium threshold level on any valuation date prior to the final valuation date, then
the notes wil not be automatical y redeemed at a premium. In that event, you wil receive a positive return on your
investment in the notes only if the Index appreciates from the initial index level to the final index level. If the final
index level is equal to or less than the initial index level, you wil receive only the stated principal amount of $1,000
for each note you hold at maturity. As the notes do not pay any interest, even if the Index appreciates from the initial
index level to the final index level, there is no assurance that your total return at maturity on the notes wil be as
great as could have been achieved on conventional debt securities of ours of comparable maturity.

The notes do not pay interest. Unlike conventional debt securities, the notes do not pay interest or any other
amounts prior to maturity. You should not invest in the notes if you seek current income during the term of the notes.

Your potential return on the notes in connection with an automatic early redemption is limited. If the notes
are automatical y redeemed prior to maturity, your potential return on the notes is limited to the premium applicable
to the relevant valuation date, as described on the cover page of this pricing supplement, regardless of how
significantly the closing level of the Index may exceed the applicable premium threshold level.

The term of the notes may be as short as one year. If the closing level of the Index on any valuation date prior to
the final valuation date, including the valuation date expected to occur approximately one year after the pricing date,
is greater than or equal to the applicable premium threshold level, the notes wil be automatical y redeemed. If the
notes are automatical y redeemed, you wil not receive the premium applicable to any later valuation date.

The premium threshold level increases over the term of the notes. The notes wil be automatical y redeemed
only if the closing level of the Index is greater than or equal to the applicable premium threshold level on any
valuation date prior to the final valuation date. Even if the closing level of the Index appreciates over the term of the
notes, it may not appreciate sufficiently for the notes to be automatical y redeemed at a premium, because the
premium threshold level increases over the term of the notes. With each year that passes without the notes being
automatical y redeemed, the likelihood that the notes wil be automatical y redeemed at a premium wil decrease as
a result of the increasing premium threshold level.

Although the notes provide for the repayment of the stated principal amount at maturity, you may
nevertheless suffer a loss on your investment in real value terms if the notes are not automatically
redeemed prior to maturity or if the Index declines or does not appreciate sufficiently from the initial index
level to the final index level. This is because inflation may cause the real value of the stated principal amount to
be less at maturity than it is at the time you invest, and because an investment in the notes represents a forgone
opportunity to invest in an alternative asset that does generate a positive real return. This potential loss in real value
terms is significant given the term of the notes. You should careful y consider whether an investment that may not
provide for any return on your investment, or may provide a return that is lower than the return on alternative
investments, is appropriate for you.

Your return on the notes depends on the closing level of the Index on only the valuation dates. Because
your payment upon automatic early redemption, if applicable, or at maturity depends on the closing level of the
Index solely on one of the valuation dates, you are subject to the risk that the closing level of the Index on that day
may be lower, and possibly significantly lower, than on one or more other dates during the term of the notes. If you
had invested in another instrument linked to the Index that you could sel for ful value at a time selected by you, or if
the return on the notes was based on an average of the closing levels of the Index, you might have achieved better
returns.

https://www.sec.gov/Archives/edgar/data/200245/000095010320004044/dp122714_424b2-us2090986.htm
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